Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 12, 2026, disclosing preliminary terms for 13-month autocallable contingent coupon securities linked to the worst of three major equity indexes.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. is the guarantor of all payments.
  • Underlyings: The securities are linked to the worst performer among the Nasdaq-100 Index (NDX), the Russell 2000 Index (RTY), and the S&P 500 Index (SPX).
  • Contingent coupon rate: 8.75% per annum, paid monthly, only if the worst performer closes at or above 55.00% of its initial underlying value on the related valuation date.
  • Barrier level: Both the coupon barrier value and the final barrier value are set at 55.00% of each underlying's initial underlying value.
  • Automatic early redemption: Securities are called monthly (beginning after six months) at principal plus the contingent coupon if the worst performer closes at or above its initial underlying value on an autocall date.
  • Maturity date: December 16, 2027; stated principal amount is $1,000 per security; CUSIP 17334HCN1 / ISIN US17334HCN17.
  • Principal at risk: According to the filing, if the worst performer's final value is below the final barrier value, investors "will lose 1% of the stated principal amount of your securities for every 1% by which the worst performer on the final valuation date has declined from its initial underlying value," with no minimum payment at maturity.

Preliminary Terms: Structure, Payoffs, and Risks of the Citigroup Autocallable Securities

According to the filing, the securities price on November 12, 2026, with monthly valuation dates through the maturity date of December 16, 2027. The stated principal amount is $1,000 per security. Payments are contingent: the 8.75% per annum coupon is paid monthly only on valuation dates when the worst-performing underlying closes at or above 55.00% of its initial value. The filing states that investors "are not assured of receiving any contingent coupon."

The filing provides hypothetical payment tables illustrating the structure. At an interim valuation date that is also an autocall date, a worst underlying return of 0.00% or above results in redemption at $1,007.292 per security. A return of -0.01% to -45.00% results in a contingent coupon of $7.292 with no redemption, while returns below -45.00% produce no coupon and no redemption. At maturity, a worst underlying return at or above -45.00% returns the full $1,000.00 principal; at -45.01% the hypothetical payment is $549.90, at -50.00% it is $500.00, and at -100.00% it is $0.00.

The filing identifies several risk factors specific to this structure. It notes that because performance depends solely on the worst performer, "all that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly." The securities will not be listed on any securities exchange, and the filing states the estimated value on the pricing date will be less than the issue price. All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. The U.S. federal tax consequences are described in the filing as "unclear."

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus under Rule 433 setting out preliminary terms for autocallable contingent coupon securities maturing December 16, 2027, linked to the worst of NDX, RTY, and SPX, with an 8.75% per annum contingent coupon and a 55.00% barrier level.